Report improvement: Show product line goals, the initiatives that link to them and the child initiatives that are below

I've setup inititiatives for our development teams. Each initiative rolls-up to a "roll-up initiative" at the product line level.
Each Roll-up initiative is linked to a product line goal.

I would like to create a report that shows:
Goals -> Roll-up Initiatives -> Initiatives
But I find that Goals are not inherited for reporting.
i.e. if A roll-up initiative is linked to a goal, then all initiatives linked to the roll-up should show up as being under the same goal.

But I find I have to manually enter the goal into each initiative individually. This doesn't make sense. Logically, they should be inherited.